Results 71 to 80 of about 525 (141)

Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model [PDF]

Mathematics and Modeling in Finance
‎This study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model‎.
Farshid Mehrdoust, Maryam Noorani
doaj   +1 more source

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

On the Exact Limiting Distribution of a Volatility Target Index

Mathematical Finance, EarlyView.
ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley   +1 more source

An asymptotic expansion for a Black–Scholes type model

Bulletin des Sciences Mathématiques, 2004
This paper derives the asymptotic expansion of the expected value of the European call option when the volatility of the underlying asset is not constant but, instead, is subject to small perturbations (in the sense of perturbation theory). A link between analyticity of the solution and Borel-summability is also established.
openaire   +3 more sources

Why Have CEO Pay Levels Become Less Diverse?

The Journal of Finance, Volume 81, Issue 4, Page 1893-1950, August 2026.
ABSTRACT This paper documents a new stylized fact: the cross‐sectional variation in CEO pay levels has declined precipitously in recent years. We offer one explanation for this decline, namely, firms are increasingly benchmarking CEO compensation to industry peers closest in size, thereby creating pay clusters.
TORSTEN JOCHEM, GAIZKA ORMAZABAL, ANJANA RAJAMANI   +2 more
wiley   +1 more source

The Debt‐Equity Spread

The Journal of Finance, Volume 81, Issue 4, Page 2005-2062, August 2026.
ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley   +1 more source

Convergence Numerically of Trinomial Modelin European Option Pricing

International Research Journal of Business Studies, 2014
A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita, Fitriani Agustina, Ririn Sispiyati   +2 more
doaj  

Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen

Sainsmat, 2016
Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
doaj   +1 more source

Black-Scholes and Extended Black-Scholes Models: A Comparative Statistical Analysis

, 2007
Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate.
openaire   +2 more sources

THE ANALYTICAL SOLUTIONS OF EUROPEAN OPTIONS ON SHARES PRICING MODELS

Jurnal Akuntansi dan Keuangan, 2004
The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model
Andriansyah Andriansyah
doaj